Estimasi Nilai Risiko Return Portofolio Saham LQ-45 dan JII dengan Copula Gaussian
DOI:
https://doi.org/10.57152/ijbem.v1i2.207Kata Kunci:
Copula , GARCH, Value at RiskAbstrak
Tujuan seorang investor dalam berinvestasi pada suatu portofolio saham adalah dengan memaksimalkan return dan meminimalkan risiko. Ujuran risiko yang biasa digunakan adalah Value at Risk (VaR) yang dapat dihitung dengan dengan menggunakan copula. Copula yang terbaik adalah copula Gaussian dapat menghitung nilai risiko pada distribusi gabungan antara return LQ-45 dan return JII, yang memiliki efek volatilitas sehingga dimodelkan dengan model AR (1)-GARCH (1,1). Dengan tingkat kepercayaan 95% copula Gaussian memiliki nilai VaR terkecil dengan return terbesar.
Referensi
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